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A comparison of market risk measures from a twofold perspective: accurate and loss function
(Elsevier, 2023-06-04) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.
A cryptocurrency empirical study focused on evaluating their distribution functions
(Elsevier, 2022-02-14) López Martín, Carmen; Arguedas Sanz, Raquel; Benito Muela, Sonia
This paper thoroughly examines the statistical properties of cryptocurrency returns, particularly focusing on studying which is the best statistical distribution for fitting this type of data. The preliminary statistical study reveals (i) high volatility, (ii) an inverse leverage effect, (iii) skewed distributions and (iv) high kurtosis. To capture the nonnormal characteristics observed in cryptocurrency data, we verified the goodness of fit of a large set of distributions, both symmetric and skewed distributions such as skewed Student-t, skewed generalized t, skewed generalized error and the inverse hyperbolic sign distributions. The results show that the skewed distributions outperform normal and Student-t distributions in fitting cryptocurrency data, although there is no one skewed distribution that systematically better fits the data. In addition, we compare these distributions in terms of their ability to forecast the market risk of cryptocurrencies. In line with the results obtained in the statistical analysis, we find that the skewed distributions provide better risk estimates than the normal and Student-t distributions, both in short and long positions, with SGED being the distribution that provides better results.
A Rebato: Popular uprisings and the striking of the bells in eighteenth-century Castile
(2023-08-18) Hernández Benítez, Mauro::virtual::3973::600; Hernández Benítez, Mauro; Hernández Benítez, Mauro; Hernández Benítez, Mauro
This paper delves into the dynamics of popular revolt in early modern Castile, taking as a viewpoint a revealing feature of these disturbances, the bell-ringing widely known as rebato, an equivalent to the French tocsin. While alarm bells have long been recognised as a prevalent element of popular revolt in Europe from medieval times, they have received limited specific scholarly attention. This study provides an overview of the historical significance of this distinctive sound and examines its material aspects. Subsequently, the paper investigates several instances of bell-ringing during Castilian riots, as reflected in archival sources, and analyses its meaning both for townspeople and the authorities. In attempting to elucidate the reasons behind the aversion this sound provoked among the privileged classes and the authorities, the study explores the political, ritual, and sonic dimensions of the rebato.
A study on the deployment of high-speed broadband networks in NUTS3 regions within the framework of digital agenda for Europe
(Elsevier, 2018) Feijóo González, Claudio; Armuña, Cristina; Arenal, Alberto; Ramos Villaverde, Sergio; Gómez Barroso, José Luis
This paper investigates the high-speed broadband situation in the EU and its prospects. It uses a deployment model to estimate the investment required to meet the Digital Agenda for Europe (DAE) broadband targets set by the European Commission in its Europe 2020 strategy at different stages: as of 2016, after expected operators’ deployment, after public subsidies and leveraged investment, and as expected in 2020. The model uses data at the NUTS3 level, which is the most granular level that has data available on the status of broadband deployment, to arrive at a coherent and comparable framework. From the different perspectives on the investment to meet DAE targets, the paper concludes on the need for an appropriate combination of incumbent and alternative operators investments, public subsidies and leveraged investments, and new investments, both public and private and non-existing as of 2016, examining their feasibility and the impact of different regulatory, technical, and policy strategies.
An application of extreme value theory in estimating liquidity risk
(Elsevier, 2017-12) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.
Análisis de los modelos de integración de la información financiera y no financiera en los grupos cotizados del IBEX 35
(Universidade de Santiago de Compostela, 2021-06-09) Ibáñez Jiménez, Eva María::virtual::3545::600; Ibáñez Jiménez, Eva María; Ibáñez Jiménez, Eva María; Ibáñez Jiménez, Eva María
Since 2018, the obligation to prepare the non-financial information statement (NFI) has been revolutionizing the way in which large Spanish companies structure all their corporate information. Our research aims to identify the new financial and non-financial information integration models in the praxis of the groups listed on the IBEX 35. The reports referring to 2018 have been analyzed: accounting or financial in the strict sense, i.e. audited consolidated annual accounts and management re-ports –including the NFI statement–, and non-financial, i.e. integrated and/or sustainability reports. The results obtained evi-dence a high level of reporting dispersion. Three basic reporting models and up to seven alternative subcategories have been identified. Other results show the rise of the integrated report to the detriment of the sustainability report, the conversion of these voluntary or non-financial reports into legal or partially legal reports, and the constraints regarding the scope of the NFI statement´s verifiability.
Analysis of brand influence in the rockets and feathers effect using disaggregated data
(Elsevier, 2020-04-01) Palencia González, Francisco Javier; Navío Marco, Julio; Juberías Cáceres, Gema
This paper studies price asymmetries (the ‘rockets and feathers effect’) at the firm level using an approach that fundamentally differs from the previous literature. The research analyses the Spanish oil market, using more than 11 million daily price records from December, 23, 2014, to December 31, 2017. We apply the most common econometric approach to investigate asymmetry, the error correction model, and find asymmetries for all brands, either classic brands or low-cost flag brands. Classic brands make price adjustments in shorter periods, whereas supermarket brands, as well as independent and low-cost brands, correct prices only slowly. This research makes an original contribution to the study of the rockets and feathers phenomenon using brands as the units of analysis. The speed of price adjustments is especially relevant to understanding oil market price dynamics.
Analysis of the adoption of customer facing in-store technologies in retail SMEs
(Elsevier, 2020-11) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Brick and mortar stores are suffering the dramatic revolution of the retail sector. Customer facing in-store technologies (CFIST) are a key component of the inevitable transformation of retail stores; yet the reasons to adopt such technologies by business owners may be little known. Based on a TOE and TAM inspired framework, this study analyses the drivers of such decision by small and medium size enterprises using a survey methodology. The results show that the attitude towards technology is the strongest predictor of the intention to adopt CFIST, highlighting the role of the top management in technology decisions. This conclusion has important implications for practitioners. This research is the first to address the adoption of CFIST by SMEs and therefore set the path for further studies about the impact and adoption of in-store technology in SMEs.
An analysis of the behaviour of Spanish society regarding online privacy protection
(Federación Española de Sociología, 2020) Feijóo González, Claudio; Gómez Barroso, José Luis
La privacidad es un fenómeno social cuya descripción no ha recibido la atención que merece dada la creciente revelación y uso de información personal en relaciones privadas y públicas. A partir de una encuesta completada por 1.650 individuos, este artículo investiga las variables que definen a quienes muestran una mayor preocupación por la privacidad en internet y a aquellos que siguen unos hábitos que permiten un mejor control de los datos que ceden. Tener antecedentes de problemas con la seguridad o de irritación por la invasión de la esfera privada es en ambos casos la variable más significativa. Está acompañada por otros factores relacionados con la actividad en internet y experiencia en su uso; las variables socioeconómicas o demográficas juegan un papel secundario.
Analysis of the Influence of the Moment the Internationalization Process Begins on the Internationalization Intensity of Family and Nonfamily Businesses: An Approach Using a Tobit Model
(MDPI, 2022-10-10) Varas Fuente, Oscar Javier; Arguedas Sanz, Raquel; Rodrigo Moya, Beatriz
The specific characteristics of family businesses as well as the internationalization path followed can influence the intensity of the internationalization process. Many studies have analyzed how family character can influence the internationalization process of family businesses, and the results obtained have not been conclusive. Nevertheless, previous research has not sufficiently addressed the influence that the moment of initiation of the internationalization process has on the levels of internationalization achieved. Based on the behavioral agency model, the unique set of business resources (familiness), and the socioemotional wealth (SEW) perspective, this study examines, the internationalization intensity of family and nonfamily businesses in two defined groups (early internationalization and internationalization from the local market). Likewise, the effect that the entry of the second generation has on the internationalization of these companies is analyzed. To perform this analysis, Tobit regression models are estimated from a data set of panel data from the Spanish Survey on Business Strategies for small and medium-sized Spanish family businesses from 2005 to 2016, finding that family ownership and management have a negative influence on the intensity of exports, regardless of the path of internationalization followed, and that the entry of new generations has a positive relationship with the level of internationalization of these businesses. Finally, implications of the findings for research and management are discussed.
Analyzing disability in socially responsible companies
(Springer Link, 2017-01-01) Saavedra Robledo, Irene; Segovia San Juan, Ana Isabel; Fernández de Tejada Muñoz, Victoria
The incorporation of People with Disability (PWD) in organizations is a subject taken up by international organizations, such as the European Union and the United Nations, which has had subsequent consequences in Spain with the development of legislation and specific initiatives. In this paper we have considered the concept of disability as part of diversity and, above all, as a fundamental subject of human rights and justice, which has allowed us to include the collective of PWD among the stakeholders of companies. The research on the incorporation of disability as an integral part of the policies of Corporate Social Responsibility (CSR) in companies is very recent, although the term Corporate Social Responsibility and Disability is already used. The main objective of this paper is to analyze the commitment with PWD of Spanish companies considered socially responsible by the sustainability indices used. We have included in four large dimensions (Stakeholders, Visibility, Human Resources and Accessibility) the indicators that have allowed us to analyze the information on PWD published by these companies in their sustainability reports or similar documents accessible through their websites. The results suggest that the companies are more concerned about improving their image towards the exterior than for the commitment with their own employees, which is consistent with the dimension Visibility being where the companies carry out more actions in favor of PWD.
Are retailers leveraging in-store analytics? An exploratory study
(Emerald, 2022-05-03) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Purpose The purpose of this study is to analyse the level of adoption of in-store analytics by brick-and-mortar retailers. Web analytics technology has been widely adopted by online retailers, and the technology to gather similar information in physical stores is already available. This study explores how such technology is valued and adopted by retailers. Design/methodology/approach This study is based on interviews and a focus group of 21 retail executives using a semi-structured interview methodology. An in-store analytics service was defined, along with specific key performance indicators (KPIs) and use cases to structure respondents' feedback. Findings Although noteworthy differences have been found in the value of KPIs and use cases by type of business, the main finding is that none of the respondents reached the stage of a brick-and-mortar data-driven company. In-store analytics services are in the early stages of Rogers' (1983) model of diffusion of innovations. Three main reasons are presented: lack of technology knowledge, budget priority and a data culture inside the companies. Practical implications The results should encourage scholars to further investigate the drivers accelerating the adoption of these technologies. Practitioners and solution providers should strive for improvement in the simplicity of their solutions. Originality/value This study is the first to analyse the level of adoption of in-store analytics from the perspective of retailers.
Are social and financial exclusion two sides of the same coin? An analysis of the financial integration of vulnerable people
(Springer, 2018) Fernández Olit, Beatriz; Paredes Gázquez, Juan Diego; Cuesta González, Marta María de la
The economic crisis has increased the inequality and heterogeneity of people at risk of social exclusion, and thus their financial vulnerability. This article reviews the literature on the determinants of unbanking and underbanking and proposes a model linking financial and social exclusion. We aimed to determine if people at risk of poverty and social exclusion are integrated -and to what extent- in the financial system. To answer this question, we identified the demographic and the social exclusion factors that determine both the status of financial vulnerability and the use of banking services. We used multivariate analysis methods to analyze the information from the survey on social vulnerability conducted by the Red Cross Spain in 2015. Our results show a negative relationship between the risk of social exclusion and the intensity of use of banking services. This leads to financial vulnerability and exclusion in the most extreme situations. We suggest that underbanking is the most relevant - but not previously studied- situation of financial vulnerability in Europe and discuss its implications for policymakers. This paper contributes to the measurement of the link between financial and social exclusion, and is the first quantitative study on the use of banking products by vulnerable people in a European context.
Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
(Elsevier, 2022) González Sánchez, Mariano
The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the usual factorial models. For a sample of 26 emerging equity markets, we find that the information portfolio built from the stochastic discount factor shows better goodness of fit of emerging market and, only the factor that accounts value stocks versus growth stocks is relevant to emerging equity markets, specifically, it is a sensitivity measure at risk.
Audit quality and fees: Evidence from Spain
(Taylor & Francis, 2021) Guzmán Raja, Isidoro; Rúa Alonso De Corralesc, Enrique; Sánchez García, Juan Francisco; González Sánchez, Mariano
This empirical research uses panel data methodology to find the main factors determining Spanish audit quality. on a sample with more than 60,000 audited companies from 2013 to 2018. Prior to analysing the quality of the audit, we have adjusted the best possible model to the audit fees behaviour in order to extract the abnormal fees. Our dynamic model shows that audited company’s size, the previous year’s audit fees, the years with the same audit firm, the auditor’s opinion, the auditor rotation, the concentration or dedication to the client and the client sector are explanatory factors of audit fees. Further, we find evidence that audit quality improves with number of hours billed for audit work and decreases with sector concentration of auditor and, a novel multiplicative effect, the auditor size by abnormal audit fees, in such a way that the surcharge (abnormal fees) of the big audit firms contribute negatively to improve the audit quality.
Banking system resilience and stability: constructing a composite indicator for developed countries
(Emerald, 2019-10-14) Ruza Paz-Curbera, Cristina::virtual::3934::600; Cuesta González, Marta María de la::virtual::3935::600; Paredes Gázquez, Juan Diego::virtual::3936::600; Ruza Paz-Curbera, Cristina; Cuesta González, Marta María de la; Paredes Gázquez, Juan Diego; Ruza Paz-Curbera, Cristina; Cuesta González, Marta María de la; Paredes Gázquez, Juan Diego; Ruza Paz-Curbera, Cristina; Cuesta González, Marta María de la; Paredes Gázquez, Juan Diego
The aim of this paper is to empirically appraise the health of banking systems by applying a new theoretical framework based on complex system theories. For doing so we propose a composite indicator for analysing the resilience and stability of banking systems for a group of advanced economies including the group of G7 countries, Spain and Portugal. The empirical results reveal quite different patterns in the aftermath of the financial crises. While some countries have improved its relative position within the ranking, we find others evolving just in the opposite direction. The main purpose of the indicator is not to make predictions of future banks’ behaviour, but rather to use it as an early warning system for policymakers and supervisors in identifying signs of weakness, as well as a useful tool to identify the best practices.
Banks and financial discrimination: what can be learnt from the spanish experience?
(Springer, 2019-04-15) Fernández Olit, Beatriz; Ruza Paz-Curbera, Cristina; Cuesta González, Marta María de la; Matilla García, Mariano
The paper analyses the phenomenon of financial discrimination that have been identified in many developed countries in the aftermath of the financial crisis. We would consider the process of quality worsening in the provision of banking products and services as part of the increasing problem of financial exclusion, which should consider not only the physical access to branches but also the difficulties of use of banking services and products. Our primary concern is focused on the collective of vulnerable customers, so we have carried out an analysis at a micro-scale (urban districts and municipalities) to identify the main determinants of the financial discrimination of territories according to their socioeconomic profile. This study constitutes a first attempt to analyse financial discrimination in the provision of banking products and services at an urban micro-scale. We have considered as good references the cases of Madrid and Barcelona in Spain, large urban territories with high level of social inequality. The methodology that had been applied is quantile regressions, useful technique for analysing the ‘extreme’ nature of the phenomenon of financial discrimination. Our results confirm that the more overloaded branches are settled in districts characterised by a lower socioeconomic profile, indicating a banking industry trend towards ‘low-cost’ retail banking to serve the group of less profitable – more vulnerable customers. Some recommendations are outlined for policymakers in line with the aims and scope of the Payment Accounts Directive of the European Union.
Barriers and challenges of the functional healthcare risk management units in hospitals of Madrid health service
(Elsevier, 2014) Pardo Hernández, Alberto; Navarro Royo, Cristina; Albeniz Lizarraga, C.; Morón Merchante, J.; Arguedas Sanz, Raquel
Objetivo Identificar las barreras y los retos para el desarrollo efectivo de las unidades de gestión de riesgos sanitarios en los hospitales del Servicio Madrileño de Salud. Material y métodos Estudio descriptivo transversal dirigido a los equipos directivos y a los miembros de las unidades funcionales de 31 hospitales del Servicio Madrileño de Salud. Se solicitó en forma de texto libre, dentro de un cuestionario autoadministrado, la identificación de un máximo de 5 barreras y retos y su priorización a través de la adjudicación de uno a 5 puntos de acuerdo con su importancia. Posteriormente se realizó un análisis del discurso agrupando los temas comunes y ordenándolos de acuerdo con la puntuación recibida. Resultados La tasa de respuesta global fue del 94%. Las barreras más frecuentemente identificadas fueron: falta de tiempo (21%), insuficiente cultura de seguridad (13%), escasa difusión de sus actividades (10%) y falta de formación (10%). El reto más importante fue potenciar la formación (18%), seguido de mejorar la cultura (17%), difundir las actividades de seguridad (11%) y lograr el liderazgo de los responsables de los servicios (11%). Conclusiones En las condiciones del estudio, la barrera fundamental identificada fue la falta de tiempo y el reto principal la necesidad de formación. Por ello parece necesario mejorar el apoyo organizativo a la seguridad clínica en el ámbito objeto de estudio.
Board of Directors’ Remuneration, Employee Costs, and Layoffs: Evidence from Spain
(MDPI, 2021-07) González Sánchez, Mariano; Ibáñez Jiménez, Eva María; Segovia San Juan, Ana Isabel
Most of the empirical studies on board remuneration have focused on finding explanatory performance measures. There are studies that analyze if the compensation contracts of directors reward managers in such a way that they strive to maximize firm performance and shareholders’ wealth; however, there are few studies on the social aspect of corporate governance, or agent–employee and principal–employee relationships. Thus, in this study, our aim is to test whether there is a causal relationship between the remuneration of the board of directors of listed companies and the personnel policies of the companies, expressed through the cost of personnel and layoffs. For that, we used a sample of Spanish listed companies, and we found that two performance measures (return on equity and earnings per share on market price) have a greater effect on the growth rate of board remuneration when layoffs occur. Additionally, we found that the sales revenue and cash flow on total assets subsequently influenced personnel management.
Burden of Hospitalizations Related to Pneumococcal Infection in Spain (2016–2020)
(MDPI, 2023-01-14) Gil Prieto, Ruth; Allouch, Nizar; Jimeno, Isabel; Hernández Barrera, Valentín; Gil de Miguel, Ángel; Arguedas Sanz, Raquel
Pneumococcal infection strongly contributes to morbidity and mortality in Spain. A total of 253,899 hospitalizations related to pneumococcal infection occurred from 2016 to 2020. Fifty-eight percent were men, the mean age was 67 years old, and the average length of hospitalization was 12.72 days. The annual hospitalization rate was 10.84 hospitalizations per 10,000 population, increasing significantly with age, reaching 65.75 per 10,000 population in those aged >85 years. The hospitalization rates for pneumococcal pneumonia, sepsis, and meningitis were 2.91, 0.12, and 0.08 hospitalizations per 10,000, respectively, and reached the highest value in those aged >85 for pneumococcal pneumonia and sepsis, with 22.29 and 0.71 hospitalizations per 10,000, respectively, and in children up to 1 year old for pneumococcal meningitis, with 0.33 hospitalizations per 10,000. The total number of deaths during the study period was 35,716, with a case-fatality rate of 14.07%. For pneumococcal pneumonia, sepsis, and meningitis, the case-fatality rates were 8.47%, 23.71%, and 9.99%, respectively. The case-fatality rate increased with age and did not vary by sex. The annual cost of these hospitalizations was more than EUR 359 million. There is therefore a high burden of disease and mortality caused by pneumococcal infection in our country, especially in elderly individuals.

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